Unité mixte de recherche 7235

Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach

Bertrand Maillet, Sessi Tokpavi, Benoit Vaucher

[en]The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by parameter uncertainty. Using a robust control approach, we introduce a portfolio rule for investors who wish to invest in the global minimum variance portfolio due to its strong historical track record but seek a rule that is robust to parameter uncertainty. Our robust portfolio theoretically corresponds to the global minimum variance portfolio in the worst-case scenario, with respect to a set of plausible alternative estimators of the covariance matrix, in the neighbourhood of the sample covariance matrix. Hence, it provides protection against errors in the reference sample covariance matrix. Monte Carlo simulations illustrate the dominance of the robust portfolio over its non-robust counterpart, in terms of portfolio stability, variance and risk-adjusted returns. Empirically, we compare the out-of-sample performance of the robust portfolio to various competing minimum variance portfolio rules in the literature. We observe that the robust portfolio often has lower turnover and variance and higher Sharpe ratios than the competing minimum variance portfolios.[/en]

AGENDA

lundi 27 mars 2023

Professeurs invités

Axel Gautier

jeudi 30 mars 2023

Groupe de travail « Intelligence artificielle »

Paola Tubaro (CREST)

Salle : G614B

Artificial intelligence, labour transformations, and inconspicuous inequalities: women’s work on digital ‘micro-tasking’ platforms

jeudi 30 mars 2023

Doctorants

Morel Tien

Migration et synchronisation des cycles

lundi 3 avril 2023

Law, Institutions and Economics in Nanterre (LIEN)

Stefania Marcassa (CY Cergy)

En salle 614 et en distanciel

TBA

mardi 4 avril 2023

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Franck Bessis (Triangle et Université Lyon 2)

Une ethnographie de l’expertise économique d’Etat

mardi 4 avril 2023

Développement Durable Environnement et Energie (DDEE)

Etienne Lorang (Tilburg University)

Salle 614B de 16h00 – 17h00)

A CGE Integrating Material Stocks and Flows

jeudi 6 avril 2023

Lunch

Axel Gautier (Université de Liège)

TBA

jeudi 6 avril 2023

Groupe de travail « Intelligence artificielle »

Renaud Aioutz-Lefebvre (OpenStudio)

Recherche de synergies productives et synergies inter-entreprises

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